You Own a Portfolio Which Is Valued at $14

question 60

Multiple Choice

You own a portfolio which is valued at $14.5 million and which has a beta of 1.54. You would like to create a riskless portfolio by hedging using S&P 500 futures contracts. The contract size is $250 times the index level. How many futures contracts do you need to acquire if the current S&P 500 index is 1418?

• A) short 68 contracts
• B) short 41 contracts
• C) long 41 contracts
• D) long 57 contracts
• E) short 63 contracts

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